E-mini S&P 500 Future September 2009


Trading Metrics calculated at close of trading on 24-Jul-2009
Day Change Summary
Previous Current
23-Jul-2009 24-Jul-2009 Change Change % Previous Week
Open 950.25 965.00 14.75 1.6% 937.00
High 976.50 979.00 2.50 0.3% 979.00
Low 948.75 962.50 13.75 1.4% 933.75
Close 969.00 977.75 8.75 0.9% 977.75
Range 27.75 16.50 -11.25 -40.5% 45.25
ATR 18.78 18.61 -0.16 -0.9% 0.00
Volume 2,049,033 2,299,971 250,938 12.2% 9,342,150
Daily Pivots for day following 24-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,022.50 1,016.75 986.75
R3 1,006.00 1,000.25 982.25
R2 989.50 989.50 980.75
R1 983.75 983.75 979.25 986.50
PP 973.00 973.00 973.00 974.50
S1 967.25 967.25 976.25 970.00
S2 956.50 956.50 974.75
S3 940.00 950.75 973.25
S4 923.50 934.25 968.75
Weekly Pivots for week ending 24-Jul-2009
Classic Woodie Camarilla DeMark
R4 1,099.25 1,083.75 1,002.75
R3 1,054.00 1,038.50 990.25
R2 1,008.75 1,008.75 986.00
R1 993.25 993.25 982.00 1,001.00
PP 963.50 963.50 963.50 967.50
S1 948.00 948.00 973.50 955.75
S2 918.25 918.25 969.50
S3 873.00 902.75 965.25
S4 827.75 857.50 952.75
High/Low/Range Statistics
Trading Days High Low Range Range % Average Range Average Range % Close % New High New Low Average Volume
5 979.00 933.75 45.25 4.6% 18.00 1.8% 97% True False 1,868,430
10 979.00 865.50 113.50 11.6% 18.75 1.9% 99% True False 1,961,123
20 979.00 865.25 113.75 11.6% 17.75 1.8% 99% True False 1,901,954
40 979.00 865.25 113.75 11.6% 18.75 1.9% 99% True False 1,459,960
60 979.00 859.00 120.00 12.3% 19.75 2.0% 99% True False 975,778
80 979.00 776.00 203.00 20.8% 21.00 2.1% 99% True False 732,667
100 979.00 662.00 317.00 32.4% 22.50 2.3% 100% True False 586,255
120 979.00 662.00 317.00 32.4% 22.50 2.3% 100% True False 488,552
Crabel Price Patterns
NR True
NR4 False
NR5 False
NR7 False
WS False
WS4 False
WS5 False
WS7 False
ID False
OD False
IDnr4 False
2BNR False
3BNR False
4BNR False
8BNR False
Bear Hook False
Bull Hook False
Stretch 4.13
Narrowest range in 2 trading days
Fibonacci Retracements and Extensions
4.250 1,049.00
2.618 1,022.25
1.618 1,005.75
1.000 995.50
0.618 989.25
HIGH 979.00
0.618 972.75
0.500 970.75
0.382 968.75
LOW 962.50
0.618 952.25
1.000 946.00
1.618 935.75
2.618 919.25
4.250 892.50
Fisher Pivots for day following 24-Jul-2009
Pivot 1 day 3 day
R1 975.50 972.25
PP 973.00 966.75
S1 970.75 961.25

These figures are updated between 7pm and 10pm EST after a trading day.

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